Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0015 |
| Annualized Std Dev | 0.1445 |
| Annualized Sharpe (Rf=0%) | -0.0104 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5586.0000 |
| NAs | 1.0000 |
| Minimum | -0.1683 |
| Quartile 1 | -0.0036 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0041 |
| Maximum | 0.1431 |
| SE Mean | 0.0001 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0091 |
| Skewness | -1.2181 |
| Kurtosis | 46.7539 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0068 |
| Gain Deviation | 0.0065 |
| Loss Deviation | 0.0081 |
| Downside Deviation (MAR=210%) | 0.0118 |
| Downside Deviation (Rf=0%) | 0.0068 |
| Downside Deviation (0%) | 0.0068 |
| Maximum Drawdown | 0.5431 |
| Historical VaR (95%) | -0.0121 |
| Historical ES (95%) | -0.0217 |
| Modified VaR (95%) | -0.0092 |
| Modified ES (95%) | -0.0092 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2006-01-27 | 2008-10-10 | 2012-01-09 | -0.5431 | 1499 | 682 | 817 |
| 2012-07-11 | 2020-03-18 | NA | -0.4727 | 2188 | 1934 | NA |
| 1999-01-12 | 2000-03-14 | 2003-06-04 | -0.2537 | 1102 | 294 | 808 |
| 2004-01-20 | 2004-05-20 | 2005-06-08 | -0.1597 | 350 | 86 | 264 |
| 2003-06-16 | 2003-08-04 | 2003-11-12 | -0.0659 | 106 | 35 | 71 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | 1 | -0.5 | 0 | 0 | 0.5 | 0.5 | -0.5 | 0 | -1.2 | -0.6 | -0.6 | -1.5 |
| 2000 | 0 | -0.6 | 0.6 | 0.6 | 1.2 | 1.2 | -1.2 | -1.1 | 1.3 | 0 | 1.3 | -0.4 | 3 |
| 2001 | 1.2 | 0.3 | 0.4 | 0.2 | 0.3 | 0.9 | 0 | 0.3 | 0.2 | 0.2 | 0.5 | 1.1 | 5.7 |
| 2002 | 0.9 | -0.5 | 0.5 | 0.9 | 0 | 0.3 | 0 | 0.4 | -0.2 | 0.1 | 0.7 | 0.3 | 3.4 |
| 2003 | 0.2 | 0 | -0.2 | 0.7 | 0.3 | 0.9 | 0.3 | 0 | -0.1 | 0.6 | -0.1 | 0.5 | 3.1 |
| 2004 | 0.5 | 0 | -0.2 | -0.6 | 0 | 0.6 | 0.5 | 0.4 | 0 | 1.3 | 0.1 | 0.7 | 3.4 |
| 2005 | 0.4 | -0.3 | -2.4 | 0.4 | 0 | 0.6 | 0.1 | 1.3 | 0.4 | 0.4 | 0.6 | 0 | 1.5 |
| 2006 | -0.3 | 0.1 | 0.2 | 0.3 | 1.2 | -0.1 | -0.4 | 0.8 | 0.5 | 0.2 | 0.2 | 0.1 | 2.7 |
| 2007 | -0.3 | -0.5 | 0.1 | 0.9 | -1 | -0.3 | -0.6 | -0.4 | -0.3 | -0.7 | -0.3 | 0.8 | -2.5 |
| 2008 | 0.6 | -1.7 | 1.1 | -0.7 | 0.4 | 0.6 | 0.5 | 0.3 | 2.2 | -1.2 | -0.1 | 5.4 | 7.5 |
| 2009 | 0.4 | 0.4 | -0.2 | 1.7 | 0.3 | -0.5 | 0.6 | 1.1 | 0.1 | -0.5 | 1 | -0.2 | 4.3 |
| 2010 | 0.2 | 1.3 | 0.2 | 0 | 0.4 | 0.5 | 0.5 | 0 | 0.3 | 0.7 | -1.6 | 2.2 | 4.9 |
| 2011 | 0.8 | -0.6 | 0 | 0.4 | 0.1 | 0.1 | 1.6 | -0.2 | 0.2 | 0.1 | 0.4 | 0.2 | 3 |
| 2012 | 0.1 | 0.8 | -0.1 | -0.2 | 0.3 | 0.7 | 0.4 | -0.2 | 0.1 | -0.1 | 0.3 | -0.5 | 1.6 |
| 2013 | -0.7 | -0.3 | 1.3 | -0.7 | -1.2 | -0.1 | -0.6 | -0.2 | 0.1 | -0.6 | 0.2 | 0.9 | -2.1 |
| 2014 | 0.2 | -0.1 | -0.5 | 0.2 | 0.3 | 0.8 | 0.1 | -0.6 | 0.3 | -0.1 | -0.3 | 0.4 | 0.7 |
| 2015 | 0.9 | 0.6 | -0.6 | -0.7 | -0.2 | 0.7 | 0.1 | 0 | 0.6 | 0.8 | 0 | 0.2 | 2.4 |
| 2016 | -0.2 | 1 | -0.1 | 0.1 | 0.7 | 0.6 | -0.2 | 0.4 | -0.4 | 0.2 | -0.7 | 0.2 | 1.5 |
| 2017 | 0.2 | -1.6 | 0.3 | 0.6 | -0.2 | 0.1 | 0.3 | -0.2 | 0.2 | -0.3 | -0.5 | 0.1 | -0.9 |
| 2018 | -0.1 | -0.1 | 0.2 | 0.2 | 0.1 | 0.2 | -0.2 | 0.3 | 0.1 | 0.5 | 0.1 | 0.7 | 1.9 |
| 2019 | 0.6 | -0.1 | 0.4 | 0 | -0.2 | 0.2 | 1.7 | 0 | -0.1 | -0.4 | 2.2 | 0 | 4.3 |
| 2020 | 0 | -2.1 | -2.6 | 0.4 | 1.1 | 0 | 0.3 | 0.4 | -0.2 | 0.1 | 0.6 | 0.6 | -1.6 |
| 2021 | -0.9 | -0.3 | 1.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
